Using a vegetable peeler, remove the peel from the oranges and lemons, leaving behind as much pith as possible (pith will make the infused vodka bitter). Juice the peeled fruit and reserve for another use.
Place all the peels into a large, sealable container (like an extra large mason jar). Fill with vodka until covered, leaving at least an inch or so of head space at the top.
Let the peels infuse for about 1 month in a cool, dark place. Shake occasionally.
After one month, add the cinnamon stick and cloves. Let these infuse for 2 more days.
After the vodka is infused and turns a lovely dark yellow, strain the peels and spices out of the vodka using a fine mesh sieve.
Bottle the infused spiced citrus vodka into swing top or screw top bottles. Store indefinitely.